Dear all,
Hi, I have a dataset, where P_(i,j,t) is the stock price of firm i in sector j at time t.
I am interested in,
1. calculating average pairwise correlation of stock prices between firms in the same sector;
2. calculating average pairwise correlation of stock prices between firms in two different sectors.
I feel like there must be an efficient way of doing this, but I'm not aware of it. I'd really appreciate your guidance. Thank you!
Best,
John
Hi, I have a dataset, where P_(i,j,t) is the stock price of firm i in sector j at time t.
I am interested in,
1. calculating average pairwise correlation of stock prices between firms in the same sector;
2. calculating average pairwise correlation of stock prices between firms in two different sectors.
I feel like there must be an efficient way of doing this, but I'm not aware of it. I'd really appreciate your guidance. Thank you!
Best,
John